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It's in the room you take breaks in between Arena fights. Should be in a footlocker somewhere around there. I noticed mine after I finished the Arena matches, but I don't know if it's available before that.
Retrieving your gear is part of a quest, check the Pipboy.
I had 2 dots on the radar at the time, but I finished the whole quest first. I can't confirm if the other one points to the Hole, but I believe so. It dissapears from the radar when the quest is complete. That's why it's so hard to find, it's only on your radar for a short while and the objective is 'optional' athough it does not specify as such. Your stash can be retrieved from said box though.
I wonder if it's safe to use as a storage later on.